Journal of the Korean Data and Information Science Society
- Volume 18 Issue 4
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- Pages.945-953
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- 2007
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- 1598-9402(pISSN)
A Smoothing Method for Stock Price Prediction with Hidden Markov Models
Abstract
In this paper, we propose a smoothing and thus noise-reducing method of data sequences for stock price prediction with hidden Markov models, HMMs. The suggested method just uses simple moving average. A proper average size is obtained from forecasting experiments with stock prices of bank sector of Korean Exchange. Forecasting method with HMM and moving average smoothing is compared with a conventional method.